PPI Options History — March 2024

In March 2024, PPI traded between $15.68 and $15.91. ATM implied volatility averaged 34.1%. The 30-day expected move averaged 9.8%. Net GEX was positive for 7 of 7 trading days. Term structure was in contango for 0 of 7 days.

Notable Days

  • 2024-03-25: Largest IV spike — 5.8% change
  • 2024-03-26: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.76$15.68$15.91$15.68$15.91
ATM IV34.1%31.8%36.3%31.8%34.4%
Expected Move9.8%9.1%10.4%9.1%9.9%
Term Structure-7.8%-9.1%-6.1%-6.1%-8.1%
Skew 25d1.4%0.7%3.2%3.2%0.7%
Skew 10d3.8%2.4%9.5%9.5%2.4%
Call IV 25d41.8%38.2%44.7%38.7%44.7%
Put IV 25d43.1%39.7%45.5%41.9%45.4%
Bid-Ask Spread %146.33144.13147.33144.13146.15
Gamma HHI0.540.530.550.550.55
Net GEX274272278273273
Net DEX-6.3K-6.6K-6.1K-6.1K-6.6K
Net VEX-19-20-18-20-18
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI66666

Daily Data (7 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-20$15.68$0.0031.8%9.1%0.0%0.0%0.0%3.2%-6.1%273-6.1K-200.00144.130060
2024-03-21$15.77$0.0032.5%9.3%0.0%0.0%0.0%1.4%-6.7%278-6.3K-190.00146.800060
2024-03-22$15.72$0.0033.6%9.6%0.0%0.0%0.0%1.1%-7.4%272-6.2K-190.00146.640060
2024-03-25$15.73$0.0035.5%10.2%0.0%0.0%0.0%1.2%-8.6%273-6.2K-190.00147.330060
2024-03-26$15.72$0.0036.3%10.4%0.0%0.0%0.0%0.8%-9.1%276-6.2K-190.00146.720060
2024-03-27$15.81$0.0034.9%10.0%0.0%0.0%0.0%1.3%-8.7%274-6.4K-190.00146.520060
2024-03-28$15.91$0.0034.4%9.9%0.0%0.0%0.0%0.7%-8.1%273-6.6K-180.00146.150060